Tick size and the compass rose: further insights
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References listed on IDEAS
- Szpiro, George G., 1998. "Tick size, the compass rose and market nanostructure," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1559-1569, December.
- Crack, Timothy Falcon & Ledoit, Olivier, 1996. "Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market," Journal of Finance, American Finance Association, vol. 51(2), pages 751-762, June.
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Cited by:
- Antonios Antoniou & Constantinos E. Vorlow, 2004. "Price Clustering and Discreteness: Is there Chaos behind the Noise?," Papers cond-mat/0407471, arXiv.org.
- Charlie X. Cai & Robert Hudson & Kevin Keasey, 2004. "Intra Day Bid‐Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 647-676, June.
- Charlie X. Cai & Robert Hudson & Kevin Keasey, 2004.
"Intra Day Bid‐Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange,"
Journal of Business Finance & Accounting,
Wiley Blackwell, vol. 31(5‐6), pages 647-676, June.
- Charlie X. Cai & Robert Hudson & Kevin Keasey, 2004. "Intra Day Bid-Ask Spreads, Trading Volume and Volatility: Recent Empirical Evidence from the London Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5-6), pages 647-676.
- Constantinos E. Vorlow, 2004. "Stock Price Clustering and Discreteness: The "Compass Rose" and Predictability," Papers cond-mat/0408013, arXiv.org.
- Antoniou, Antonios & Vorlow, Constantinos E., 2005. "Price clustering and discreteness: is there chaos behind the noise?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 348(C), pages 389-403.
- Ng, Wing Lon, 2006. "Overreaction and multiple tail dependence at the high-frequency level: The copula rose," SFB 649 Discussion Papers 2006-086, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- repec:hum:wpaper:sfb649dp2006-086 is not listed on IDEAS
- Mitchell, Heather & McKenzie, Michael D., 2006. "A note on the Wang and Wang measure of the quality of the compass rose," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3519-3524, December.
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